Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0139
Annualized Std Dev 0.1705
Annualized Sharpe (Rf=0%) -0.0814

Row

Daily Return Statistics

Close
Observations 4671.0000
NAs 1.0000
Minimum -0.1101
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0042
Maximum 0.2549
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0107
Skewness 2.1258
Kurtosis 85.4117

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0090
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0075
Downside Deviation (0%) 0.0075
Maximum Drawdown 0.5984
Historical VaR (95%) -0.0132
Historical ES (95%) -0.0248
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-05-21 2008-12-16 NA -0.5984 3484 399 NA
2002-09-18 2004-05-13 2006-12-04 -0.1783 1062 417 645
2007-02-16 2007-02-22 2007-03-08 -0.0280 14 4 10
2007-04-10 2007-04-23 2007-05-09 -0.0173 22 10 12
2006-12-05 2006-12-14 2006-12-27 -0.0119 16 8 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA 0 0.5 0.7 -0.9 -0.8 -0.5
2003 -0.2 0.6 0.5 0.5 -0.4 0.6 0.2 0.9 1 0.3 -0.9 0.7 3.9
2004 -0.1 -0.3 -0.1 1.3 0.5 1.2 0.8 0 -0.5 -0.1 0.1 0.3 2.9
2005 0.3 -0.2 0.3 0.5 0.2 -1.3 -0.2 0.4 0 -0.3 0.1 0.1 -0.1
2006 -0.1 -0.1 0.3 0.3 -0.6 0.6 0 0.3 0.3 -0.3 0.3 0.6 1.7
2007 0.1 -0.1 0 -0.1 0.5 0.4 0.3 0.8 0.5 -0.4 0.4 -0.8 1.6
2008 -0.5 -3 1 -0.5 0.1 0.5 1.5 0.4 1.9 3.3 -1.2 0.9 4.3
2009 2 2.6 1.5 -0.7 -1.4 -0.1 1.2 -0.6 0.8 -0.5 -0.3 0.6 5.1
2010 1.3 0 -0.2 -1 0.4 1.2 0.4 -0.7 -0.8 -1.1 -2.3 3.7 0.9
2011 -1.2 -0.2 0.9 -0.6 -1 0.1 1.5 -0.8 -0.2 -1.6 -0.6 -0.2 -3.9
2012 -0.4 -0.4 0.2 0.1 -0.3 0 -0.3 -0.6 0.3 0 -0.2 0.5 -1.1
2013 0.7 0.2 -0.2 1.3 -2.6 -0.4 -1.1 -1 0.2 -0.4 -0.5 -0.1 -3.9
2014 0.1 0.1 -0.4 0.5 -1.1 -0.3 0 -0.8 0.4 -0.1 0.6 0.5 -0.3
2015 0 0.7 0.4 0.3 1.1 0.4 1.1 -0.4 0.4 0.8 0.8 0.1 5.9
2016 0.7 -0.6 -0.2 -0.2 1.2 0.6 -1.5 0.7 -1.7 -0.8 -1.1 0.5 -2.5
2017 -0.3 -0.5 0.1 -0.2 0.2 -0.4 -0.3 -0.9 -0.4 0.2 -0.9 0.2 -3.2
2018 -0.4 -0.3 -0.3 0.1 0 0.4 0 0 0.1 0.2 -0.2 0.4 0.1
2019 0.3 0.3 0.7 0.2 0.4 0.2 0.5 -0.1 0.4 -0.4 0.1 0.4 2.9
2020 -0.1 -1.6 -3.7 -0.1 0.8 -0.4 0.1 0.3 0.6 -1.4 0.2 0.3 -4.9
2021 0 0.3 0.7 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart